Set "Discovery by proxy" to a proxy and try to delete the proxy:

You will see an error:

Error in query [DELETE FROM hosts WHERE (hostid IN ('10109')) ] [Cannot delete or update a parent row: a foreign key constraint fails (`zabbix`.`drules`, CONSTRAINT `c_drules_1` FOREIGN KEY (`proxy_hostid`) REFERENCES `hosts` (`hostid`))]
SQL statement execution has failed "DELETE FROM hosts WHERE (hostid IN ('10109')) " [CProxy.delete -> DB.delete]